本文關(guān)鍵詞：A股投資者情緒與股市收益的關(guān)系研究　出處：《對外經(jīng)濟貿(mào)易大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資者情緒 股票收益 非對稱性

【摘要】：本文通過研究國內(nèi)外《關(guān)于投資者情緒與股市收益關(guān)系》相關(guān)文獻，結(jié)合在股市多年的實踐經(jīng)驗，從理論研究到實踐分析，結(jié)合本論文研究的2005年9月到2014年3月期間中國股市發(fā)展現(xiàn)狀和所接觸的個人投資者、機構(gòu)投資者的心態(tài)變化歷程，提出了利用行為金融學(xué)來研究A股投資者情緒與股市收益關(guān)系的實用性和必要性。 本文的研究方法，首先選定了IPO首日收益率（RIPO）、IPO數(shù)量、新增開戶數(shù)、A股平均換手率（TURNOVER）、交易量等五個具有代表性的情緒代理變量，采用的主成分分析法，構(gòu)造出一個綜合的投資者情緒指數(shù)。然后建立VAR模型和Tgarch-M，分析了牛市和熊市各個時期，投資者情緒與股市收益之間的互動關(guān)系和互動關(guān)系中的非對稱效應(yīng)。經(jīng)過實證分析，得出以下兩個主要結(jié)論： 第一，，基于VAR模型的投資者情緒與股市收益關(guān)系結(jié)論 通過研究得出，牛市期間，投資者情緒和股票收益率之間都存在雙向的格蘭杰因果關(guān)系，熊市期間，投資者情緒與股票收益之間不存在雙向的格蘭杰因果關(guān)系。而且相比較而言，收益率對于投資者情緒的影響更為顯著。 第二，利用Tgarch-M模型得出的關(guān)于非對稱性效應(yīng)研究結(jié)論 投資者情緒對于股市收益的非對稱性影響表現(xiàn)在牛市期間股票收益受樂觀情緒影響大，悲觀情緒被忽略，熊市期間則恰好相反。股票收益率對投資者情緒的非對稱性影響也表現(xiàn)在牛市期間收益率上漲更明顯影響投資者情緒，股票收益下降被忽略，熊市期間則恰好相反。 本文通過研究投資者情緒與股市收益之間關(guān)系，得出的結(jié)論對于投資者進行股票投資具有一定的指導(dǎo)意義，也對監(jiān)管層增強監(jiān)管、出臺促進股市走向成熟的措施提供一定的理論依據(jù)。
[Abstract]:Through the research on the relationship between investor sentiment and stock market returns at home and abroad, this paper combines the practical experience in the stock market for many years, from theoretical research to practical analysis. Combined with the development of Chinese stock market from September 2005 to March 2014 in this paper and the changes of individual investors and institutional investors. This paper puts forward the practicability and necessity of using behavioral finance to study the relationship between investor sentiment of A shares and stock market returns. The research method of this paper, first selected the first day yield of IPO, the number of new IPO, the number of new accounts, A share average turnover rate (TURNOVERR). The principal component analysis method is used to construct a comprehensive investor sentiment index. Then the VAR model and Tgarch-M are established. This paper analyzes the interactive relationship between investor sentiment and stock market returns and the asymmetric effect in each period of bull market and bear market. Through empirical analysis, the following two main conclusions are drawn: First, the conclusion of the relationship between investor sentiment and stock market returns based on VAR model. Through the study, during the bull market, there is a two-way Granger causality between investor sentiment and stock yield, during the bear market. There is no bidirectional Granger causality between investor sentiment and stock returns. Second, the conclusion about asymmetric effect obtained by Tgarch-M model. The asymmetric impact of investor sentiment on stock market returns is reflected in the bullish period when stock returns are strongly affected by optimism and pessimism is ignored. During the bear market, the opposite is true. The asymmetric effect of stock yield on investor sentiment is also reflected in the higher yield during the bull market, and the decline in stock returns is ignored. The opposite is true during bear markets. Through the study of the relationship between investor sentiment and stock market returns, the conclusion has a certain guiding significance for investors to invest in stocks, but also to strengthen the supervision of the regulatory layer. The introduction of measures to promote the maturity of the stock market to provide a certain theoretical basis.
【學(xué)位授予單位】：對外經(jīng)濟貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 劉仁和,陳柳欽;中國股權(quán)溢價之謎的檢驗──Hansen-Jagannathan方法的應(yīng)用[J];財經(jīng)理論與實踐;2005年05期

2 詹宇波;中國股市投資者開戶與股市波動相關(guān)性分析[J];重慶商學(xué)院學(xué)報;2002年04期

3 劉紅忠,張f ;投資者情緒與上市公司投資——行為金融角度的實證分析[J];復(fù)旦學(xué)報(社會科學(xué)版);2004年05期

4 張強;楊淑娥;楊紅;;中國股市投資者情緒與股票收益的實證研究[J];系統(tǒng)工程;2007年07期

5 劉煜輝,賀菊煌,沈可挺;中國股市中信息反應(yīng)模式的實證分析[J];管理世界;2003年08期

6 丁志國;蘇治;;投資者情緒、內(nèi)在價值估計與證券價格波動——市場情緒指數(shù)假說[J];管理世界;2005年02期

7 姜繼嬌;楊乃定;;行業(yè)特征、市場情緒與收益波動[J];管理學(xué)報;2006年05期

8 程昆,劉仁和;投資者情緒與股市的互動研究[J];上海經(jīng)濟研究;2005年11期

9 范龍振,王海濤;上海股票市場股票收益率因素研究[J];管理科學(xué)學(xué)報;2003年01期

10 蔣玉梅;王明照;;投資者情緒與股票橫截面收益的實證研究[J];經(jīng)濟管理;2009年10期

本文編號：1423081